Probability Law and Flow Function of Brownian Motion Driven by a Generalized Telegraph Process
| LEADER | caa a22 4500 | ||
|---|---|---|---|
| 001 | 605519625 | ||
| 003 | CHVBK | ||
| 005 | 20210128100731.0 | ||
| 007 | cr unu---uuuuu | ||
| 008 | 210128e20150901xx s 000 0 eng | ||
| 024 | 7 | 0 | |a 10.1007/s11009-013-9392-1 |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s11009-013-9392-1 | ||
| 245 | 0 | 0 | |a Probability Law and Flow Function of Brownian Motion Driven by a Generalized Telegraph Process |h [Elektronische Daten] |c [Antonio Di Crescenzo, Shelemyahu Zacks] |
| 520 | 3 | |a We consider a standard Brownian motion whose drift alternates randomly between a positive and a negative value, according to a generalized telegraph process. We first investigate the distribution of the occupation time, i.e. the fraction of time when the motion moves with positive drift. This allows to obtain explicitly the probability law and the flow function of the random motion. We discuss three special cases when the times separating consecutive drift changes have (i) exponential distribution with constant rates, (ii) Erlang distribution, and (iii) exponential distribution with linear rates. In conclusion, in view of an application in environmental sciences we evaluate the density of a Wiener process with infinitesimal moments alternating at inverse Gaussian distributed random times. | |
| 540 | |a Springer Science+Business Media New York, 2013 | ||
| 690 | 7 | |a Standard Brownian motion |2 nationallicence | |
| 690 | 7 | |a Alternating drift |2 nationallicence | |
| 690 | 7 | |a Alternating counting process |2 nationallicence | |
| 690 | 7 | |a Exponential random times |2 nationallicence | |
| 690 | 7 | |a Erlang random times |2 nationallicence | |
| 690 | 7 | |a Modified Bessel function |2 nationallicence | |
| 690 | 7 | |a Two-index pseudo-Bessel function |2 nationallicence | |
| 700 | 1 | |a Di Crescenzo |D Antonio |u Dipartimento di Matematica, Università di Salerno, 84084, Fisciano, SA, Italy |4 aut | |
| 700 | 1 | |a Zacks |D Shelemyahu |u Department of Mathematical Sciences, Binghamton University, 13902-6000, Binghamton, NY, USA |4 aut | |
| 773 | 0 | |t Methodology and Computing in Applied Probability |d Springer US; http://www.springer-ny.com |g 17/3(2015-09-01), 761-780 |x 1387-5841 |q 17:3<761 |1 2015 |2 17 |o 11009 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s11009-013-9392-1 |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s11009-013-9392-1 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Di Crescenzo |D Antonio |u Dipartimento di Matematica, Università di Salerno, 84084, Fisciano, SA, Italy |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Zacks |D Shelemyahu |u Department of Mathematical Sciences, Binghamton University, 13902-6000, Binghamton, NY, USA |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Methodology and Computing in Applied Probability |d Springer US; http://www.springer-ny.com |g 17/3(2015-09-01), 761-780 |x 1387-5841 |q 17:3<761 |1 2015 |2 17 |o 11009 | ||